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Search: subject:"Jump diffusion model"
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Optionspreistheorie
47
Option pricing theory
46
Stochastic process
45
Stochastischer Prozess
45
Volatility
33
Volatilität
33
jump-diffusion model
26
Jump-diffusion model
19
Theorie
17
Theory
17
CAPM
13
Jump diffusion model
13
Option trading
13
Optionsgeschäft
13
Portfolio selection
12
Portfolio-Management
12
jump diffusion model
12
Börsenkurs
11
Share price
11
Capital income
10
Kapitaleinkommen
10
Statistische Verteilung
10
Statistical distribution
9
Black-Scholes model
7
Black-Scholes-Modell
7
Derivat
7
Derivative
7
Markov chain
7
Markov-Kette
7
Risk
7
Monte Carlo simulation
6
Risiko
6
Schätztheorie
6
Time series analysis
6
Zeitreihenanalyse
6
Bayes-Statistik
5
Bayesian inference
5
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5
Estimation theory
5
Monte-Carlo-Simulation
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Undetermined
51
Free
36
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Article
84
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30
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8
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Stübinger, Johannes
5
Aboura, Sofiane
4
Björk, Tomas
4
Fabozzi, Frank J.
4
Forbes, Catherine Scipione
4
Kostrzewski, Maciej
4
Maneesoonthorn, Worapree
4
Martin, Gael M.
4
Chen, Jun-Home
3
Endres, Sylvia
3
Framstad, Nils Chr.
3
Hainaut, Donatien
3
Lian, Yu-Min
3
Muroi, Yoshifumi
3
Siu, Tak Kuen
3
Suda, Shintaro
3
Vasiljević, Nikola
3
Xu, Weijun
3
Branger, Nicole
2
Chekenya, Nixon S.
2
Chesney, Marc
2
Chin, Seong Tah
2
Fard, Farzad Alavi
2
Gapeev, Pavel V.
2
Grith, Maria
2
Hulley, Hardy
2
Juma, Mussa
2
Kabanov, Yuri
2
Kaldasch, Joachim
2
Krätschmer, Volker
2
Ku, Hyejin
2
Kyriakou, Ioannis
2
Larsen, Linda Sandris
2
Lee, Min Cherng
2
Leippold, Markus
2
Li, Hongyi
2
Liew, Kian Wah
2
Liu, Qingfu
2
Miller, Shane
2
Nelson, William
2
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Université Paris-Dauphine (Paris IX)
3
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
2
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
2
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
Bank for International Settlements (BIS)
1
Colwell, David , Banking & Finance, Australian School of Business, UNSW
1
Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft (ZBW)
1
EconWPA
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
Lee, Brendan Chee-Seng, Banking & Finance, Australian School of Business, UNSW
1
Society for Computational Economics - SCE
1
Université Paris-Dauphine
1
Økonomisk institutt, Universitetet i Oslo
1
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Finance research letters
4
Insurance / Mathematics & economics
4
International journal of theoretical and applied finance
4
Central European journal of economic modelling and econometrics
3
Computational economics
3
Economics Papers from University Paris Dauphine
3
SSE/EFI Working Paper Series in Economics and Finance
3
Working paper / Department of Econometrics and Business Statistics, Monash University
3
Applied economics letters
2
Applied mathematical finance
2
Cogent Economics & Finance
2
Cogent economics & finance
2
Energy economics
2
Finance and Stochastics
2
Insurance: Mathematics and Economics
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
International journal of financial engineering
2
Journal of banking & finance
2
Journal of economic dynamics & control
2
Journal of mathematical finance
2
MPRA Paper
2
Management Science
2
Quantitative finance
2
SFB 649 Discussion Paper
2
SFB 649 Discussion Papers
2
Statistics & Probability Letters
2
Applied Mathematical Finance
1
BIS Working Papers
1
Business process management journal
1
Central European Journal of Economic Modelling and Econometrics
1
Computing in Economics and Finance 2003
1
EconStor Preprints
1
Econometrics
1
EconomiX Working Papers
1
Economic modelling
1
Energy Economics
1
European journal of operational research : EJOR
1
FAU Discussion Papers in Economics
1
FAU discussion papers in economics
1
Finance Research Letters
1
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ECONIS (ZBW)
67
RePEc
37
EconStor
8
BASE
2
Showing
1
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114
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1
Price jump diffusion in Iranian housing market (Merton model and NGARCH approach)
Dinarzehi, Khadijeh
;
Shahiki Tash, Mohammad Nabi
- In:
Iranian economic review : journal of University of Tehran
26
(
2022
)
2
,
pp. 369-388
Persistent link: https://www.econbiz.de/10013365654
Saved in:
2
Pricing vulnerable options under cross-asset markov-modulated jump-diffusion dynamics
Lian, Yu-Min
;
Chen, Jun-Home
- In:
International review of economics & finance : IREF
94
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014582767
Saved in:
3
Valuation of chooser options with state-dependent risks
Lian, Yu-Min
;
Chen, Jun-Home
- In:
Finance research letters
52
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
Saved in:
4
Option prices in the equity, index and commodity markets : the "message from markets"
Ronn, Ehud I.
- In:
Options - 45 years since the publication of the …
,
(pp. 433-449)
.
2023
Persistent link: https://www.econbiz.de/10014366690
Saved in:
5
Pricing extreme mortality risk in the wake of the COVID-19 pandemic
Li, Han
;
Liu, Haibo
;
Tang, Qihe
;
Yuan, Zhongyi
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 84-106
Persistent link: https://www.econbiz.de/10013534513
Saved in:
6
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
7
Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes
Kostrzewski, Maciej
- In:
Central European Journal of Economic Modelling and …
7
(
2015
)
1
,
pp. 43-70
exponential
jump-diffusion
model
is proposed. Theorems stated in the paper enable estimation of the model’s parameters, detection …
Persistent link: https://www.econbiz.de/10011265621
Saved in:
8
Asymptotic analysis of the mixed-exponential
jump
diffusion
model
and its financial applications
Shi, Chao
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013542969
Saved in:
9
A comparative analysis of housing prices in different cities using the Black-Scholes and Jump Diffusion models
Oh, Sebeom
;
Ku, Hyejin
;
Jun, Doobae
- In:
Finance research letters
46
(
2022
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10013339274
Saved in:
10
Statistical arbitrage in jump-diffusion models with compound Poisson processes
Akyildirim, Erdinc
;
Fabozzi, Frank J.
;
Goncu, Ahmet
; …
- In:
Risk management decisions and value under uncertainty
,
(pp. 1357-1371)
.
2022
Persistent link: https://www.econbiz.de/10013342121
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